Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 19 | 18 | 17 |
| Score | 6.85 | 6.43 | 6.54 |
| Market Cap (Millions USD) | 59.07 | 57.45 | 56.12 |
| Predicted Beta | 1.37 | 1.35 | 1.44 |
| Idiosyncratic Volatility | 7.72 | 5.39 | 8.54 |
Annualized return and volatility
| JHMT | |
|---|---|
| Annualized Return | 0.2158 |
| Annualized Std Dev | 0.1787 |
| Annualized Sharpe (Rf=0%) | 1.2074 |
Row
Daily Return Statistics
| JHMT | |
|---|---|
| Observations | 1083.0000 |
| NAs | 4031.0000 |
| Minimum | -0.0548 |
| Quartile 1 | -0.0036 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0008 |
| Geometric Mean | 0.0008 |
| Quartile 3 | 0.0063 |
| Maximum | 0.0506 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0002 |
| UCL Mean (0.95) | 0.0015 |
| Variance | 0.0001 |
| Stdev | 0.0113 |
| Skewness | -0.4834 |
| Kurtosis | 3.3699 |
Downside Risk
| JHMT | |
|---|---|
| Semi Deviation | 0.0084 |
| Gain Deviation | 0.0074 |
| Loss Deviation | 0.0093 |
| Downside Deviation (MAR=210%) | 0.0128 |
| Downside Deviation (Rf=0%) | 0.0080 |
| Downside Deviation (0%) | 0.0080 |
| Maximum Drawdown | 0.2343 |
| Historical VaR (95%) | -0.0195 |
| Historical ES (95%) | -0.0286 |
| Modified VaR (95%) | -0.0184 |
| Modified ES (95%) | -0.0318 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2018-08-31 | 2018-12-24 | 2019-03-21 | -0.2343 | 141 | 81 | 60 |
| 2015-12-03 | 2016-02-09 | 2016-07-12 | -0.1747 | 154 | 47 | 107 |
| 2019-04-25 | 2019-06-03 | 2019-07-12 | -0.1207 | 56 | 28 | 28 |
| 2018-03-13 | 2018-04-02 | 2018-06-05 | -0.1042 | 60 | 15 | 45 |
| 2018-01-29 | 2018-02-08 | 2018-02-26 | -0.1004 | 20 | 9 | 11 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | JHMT | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2009 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2010 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2011 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2012 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2013 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2014 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2015 | NA | NA | NA | NA | NA | NA | NA | NA | -0.4 | 0.0 | 0.9 | 0.0 | 0.5 |
| 2016 | 0.7 | 2.7 | 0.6 | 0.0 | 0.4 | 1.1 | 0.8 | 0.1 | 0.0 | -1.3 | -3.1 | 0.0 | 1.8 |
| 2017 | 0.2 | 1.5 | 0.0 | 0.7 | 0.5 | 0.0 | 0.3 | 0.0 | 0.0 | -0.2 | -0.4 | 0.0 | 2.6 |
| 2018 | -0.1 | -1.4 | 0.0 | 0.2 | 1.7 | 0.0 | 0.2 | 0.0 | -0.3 | 1.0 | 0.0 | 0.0 | 1.4 |
| 2019 | 0.6 | 0.6 | 1.8 | -0.8 | 0.0 | 1.7 | -1.0 | 0.0 | -1.3 | 1.3 | 0.0 | -0.1 | 2.8 |
Row
Rolling Performance Chart
Snail Trail Chart
